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I study economies where banks do not fully internalize the social costs of default, which distorts their lending decisions. In all these economies, a common general equilibrium effect leads to aggregate over-investment. As a result, under laissez-faire, crises are too frequent and too costly from a social point of view. In response, the regulator sets a capital requirement to trade off expected output against financial stability. The capital requirement that ensures investment efficiency depends on the state of the economy. Because of the general equilibrium effect, the more aggregate banking capital the tighter the optimal requirement. A regulation that fails to take this effect into account exacerbates economic fluctuations and allows for excessive build-up of risk in the financial sector during booms. Government guarantees amplify this mechanism and, at the peak of a boom, even a small adverse shock can trigger a banking sector collapse, followed by an excessively severe credit crunch.

In this paper, a model of bounded rational investors investing their portfolio in a passive investment vehicle (e.g., an Exchange Traded Fund replicating a broad index) or an actively managed fund is presented. The model proposes that the quick reswitching of these short-term oriented investors induces momentum behavior in prices. Investors prefer passsive funds in time of low risk-free rates and when active funds charge high management costs. Actively managed funds have a lower volatility but are only able to outperform the passive funds in downturns. Simulations confirm the emergence of two regimes: a regime where prices are close to fundamentals and another regime with a positive bubble. The size and the length of this bubble increases for low market liquidity and high switching speed of investors. The market volatility increases for strong reswitching activities and short-term thinking of bounded rational investors. Negative bubbles (market prices lower than fundamentals) tend to occur if active portfolio managers exhibit high risk aversion, but are less frequent than positive bubbles.

Over the last several years debate over monetary policy has focused on two issues, inflation targeting and asset price bubbles. This paper explores the case for explicitly targeting asset price bubbles, a policy that the Federal Reserve Bank has opposed on the grounds that it is both infeasible and undesirable. The paper argues that the Fed is wrong on both counts. Asset price bubbles are identifiable. Bubbles also do significant economic harm through the debt footprint effects they leave behind and through interest rate blunderbuss effects resulting from attempts to mitigate the aggregate demand impact of bubbles. Managing bubbles calls for additional policy instruments. These can be provided a system of asset based reserve requirements (ABRR).

De acuerdo a la literatura el precio de un activo (financiero o real) experimenta una burbuja si su precio de mercado se encuentra desajustado de manera persistente en el tiempo con respecto a su valor intrínseco o fundamental. En un contexto de racionalidad y eficiencia es difícil aceptar la existencia de estos fenómenos, sin embargo la literatura se ha encargado de reflejar que dichas situaciones pueden ser consistentes en un contexto de optimización y racionalidad, sobre todo cuando el horizonte de vida de los inversores es finito, existe poca variedad de alternativas de inversión, o existen situaciones de información imperfecta con falta de coordinación. Dadas estas situaciones, en el proceso de sostenimiento de la burbuja las expectativas de los inversores acerca del precio del activo adquieren un rol fundamental. En el presente trabajo se expone un modelo donde bajo ciertas condiciones el equilibrio en precios es consistente con las expectativas de los inversores, reaccionando dicho equilibrio a los cambios en las mismas, es decir que el equilibrio es condicional en el nivel de expectativas y en el manejo que de ellas se pueda hacer, sin perjuicio de potenciales efectos de manada en situaciones de información imperfecta. En el final del trabajo exponemos información sintética sobre casos que pueden ser presentados como burbujas a los efectos de la discusión de su naturaleza.

We investigate experimentally how the share of experienced traders in double-auction asset markets affects trading, in particular the occurrence of bubble-crash pricing patterns. In each session, six subjects trade in three successive market rounds and gain experience. In a fourth round, depending on the treatment, two or four experienced subjects are replaced by inexperienced subjects. The results are compared to earlier findings when all traders were either inexperienced or experienced. We explore what can be learned by analogy between these laboratory findings and the performance of naturally occurring markets.

Diese Untersuchung verfolgt mehrere Ziele. Es soll ein Beitrag geleistet werden zur Klärung folgender Fragen: Welches sind die konstituierenden Merkmale von Preisblasen? Läßt sich die Existenz von Preisblasen empirisch nachweisen? Lassen sich Preisblasen von anderen typischen Phasen der Preisdynamik auf Vermögensmärkten abgrenzen? Können Preisblasen im Rahmen der gängigen Kapitalmarkttheorie erklärt werden? Lassen sich Preisblasen mit der Konzeption eines vollkommenen und effizienten Kapitalmarktes in Einklang bringen? Ist preisblasen-induzierendes Marktverhalten rational oder irrational? Welche potentiellen Ursachen von Preisblasen lassen sich identifizieren? Können Preisblasen anlagestrategisch genutzt werden?